Homogeneous Volatility Bridge Estimators

Alexander Saichev, Didier Sornette, Vladimir Filimonov and Fulvio Corsi
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Alexander Saichev: ETH Zurich and Nizhni Novgorod State University
Didier Sornette: ETH Zurich and Swiss Finance Institute
Vladimir Filimonov: ETH Zurich and Nizhni Novgorod State University
Fulvio Corsi: University of Lugano and Swiss Finance Institute

No 09-46, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We present a theory of homogeneous volatility bridge estimators for logprice stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process, and in its close value, for a given time interval. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass and Parkinson estimators.

Keywords: volatility; variance; estimators; efficiency; Wiener processes; homoge- neous functions (search for similar items in EconPapers)
JEL-codes: C02 C40 C60 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2009-12
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0946

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